?? mtmadap.m
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function [S,c,nu,Sk]=mtmadap(x,E,V,conf,nfft)
% Syntax: [S,c,nu,Sk]=mtmadap(x,E,V,conf,nfft);
% Mtmadap produces a Thomson adaptive multiple-taper
% spectral estimate of the time series x, using the
% dpss (tapers) in E and their associated eigenvalues in V.
% The averaged spectral estimate is returned in S, and the
% individual estimates are returned in Sk.
% Confidence intervals (returned in c) are computed using
% a chi-squared approach for a confidence level specified
% in 'conf', if not specified, this defaults to .95.
% The FFTs will be zero-padded to 'nfft' points. The default
% is to use the next power of 2.
% Only real time series are supported.
% For details, see Thomson 1982, Park et al. 1987.,
% Percival and Walden 1993.
%
% Written by Eric Breitenberger, version date 10/1/95.
% Please send comments and suggestions to eric@gi.alaska.edu
%
x=x(:);
N=length(x);
W=length(V)/2;
k=2*W-1; % By convention, the first 2W eigenvalues/vectors are stored
V=V(1:k);
if nargin==3, conf=.95; nfft=2.^(fix(log(N-1)/log(2))+1); end
if nargin==4
if rem(conf,1), nfft=conf; conf=.95;
else, nfft=2.^(fix(log(N-1)/log(2))+1); end
end
% Compute the windowed dfts and the
% corresponding spectral estimates:
Y=zeros(nfft,k);
Sk=zeros(nfft,k);
for i=1:k
wk=E(:,i).*x;
Y(:,i)=fft(wk,nfft);
Sk(:,i)=abs(Y(:,i)).^2;
end
% Select the proper points from fft:
if rem(nfft,2)==0, M=nfft/2+1; else M=(nfft+1)/2; end
%Y=Y(1:M,:);
Sk=Sk(1:M,:);
% Set up the iteration to determine the adaptive weights:
sig2=x'*x/N; % Power
S=(Sk(:,1)+Sk(:,2))/2; % Initial spectrum estimate
Stemp=zeros(M,1);
S1=zeros(M,1);
% Set tolerance for acceptance of spectral estimate:
% The algorithm converges so fast that results are
% usually 'indistinguishable' after about three iterations.
% This version uses the equations from P&W pp 368-370
tol=.0005*sig2/M;
i=0;
a=sig2*(1-V);
% Do the iteration:
while sum(abs(S-S1)/M)>tol
i=i+1;
% calculate weights
b=(S*ones(1,k))./(S*V'+ones(M,1)*a');
% calculate new spectral estimate
wk=(b.^2).*(ones(M,1)*V');
S1=sum(wk'.*Sk')./ sum(wk');
S1=S1';
Stemp=S1; S1=S; S=Stemp; % swap S and S1
end
nu=2*sum(wk').^2./sum(wk'.^2);
lim=(1-conf)/2;
lim=[lim 1-lim];
c=wilhil(nu, lim);
c(:,1)=nu'.*S./c(:,1);
c(:,2)=nu'.*S./c(:,2);
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